The only reason why they played "A.I.R." was because it was requested by Dave Mustaine. I have the actual Anthrax set list and it has "Only" written on it, but they just scratched it out.
Another thing I have to point out is Chris from Megadeth. They guy can play! When he is doing all those crazy solos he doesn't even look at his guitar. Really pay attention to him if your close enough.